Type of Document	Master's Thesis
Author	Danis, Michelle A.
URN	etd-342482139711101
Title	The Effects of Multiple Listing on Bid-Ask Spreads for Equity Options
Degree	Master of Arts
Department	Economics (Arts and Sciences)
Advisory Committee	Advisor Name Title Nancy A. Wentzler Committee Chair Brian k. Reid none William R. Porter none
Keywords	equity options bid-ask spread competition
Date of Defense	1997-04-14
Availability	unrestricted
Abstract The purpose of this thesis was to test the hypothesis that multiple-listing of equity options leads to lower bid-ask spreads because of increased competition. This competition can come in two forms, actual or potential, both of which are theorized to have the same effect on spreads. A model of the determinants of the bid-ask spread was formulated. Separate tests were conducted on 1985 and on 1992 CBOE data. The first test arose from the fact that in 1985, only a certain number of options were multiple-listed, or eligible to be multiple-listed. Spreads for multiple-listed options were conjectured to be below spreads for single-listed options across low levels of volume, and equal to single-listed option spreads at higher levels of volume. The evidence for this was mixed based on several regressions with different functional forms. The second test arose from the fact that in 1992, because of an SEC rule change, all options were eligible to be multiple-listed but still only a few were. Spreads for multiple-listed options were conjectured to be equal to spreads for single-listed options because the single-listed options had the potential to become multiple-listed. Again, the evidence for this was mixed. It appears that the actual and potential competitive effects from multiple-listing had yet to come to fruition as of 1992. Further testing revealed that, on an option-by-option basis, spreads generally rose from 1985 to 1992.
Files	Filename       Size       Approximate Download Time (Hours:Minutes:Seconds)     28.8 Modem   56K Modem   ISDN (64 Kb)   ISDN (128 Kb)   Higher-speed Access    appenda1.pdf 16.28 Kb 00:00:04 00:00:02 00:00:02 00:00:01 < 00:00:01   appenda2.pdf 16.63 Kb 00:00:04 00:00:02 00:00:02 00:00:01 < 00:00:01   appenda3.pdf 16.73 Kb 00:00:04 00:00:02 00:00:02 00:00:01 < 00:00:01   thesis.pdf 104.66 Kb 00:00:29 00:00:14 00:00:13 00:00:06 < 00:00:01   vita.pdf 13.56 Kb 00:00:03 00:00:01 00:00:01 < 00:00:01 < 00:00:01

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